This aligns dask with pyspark, users need to explicitly call:
```
from xgboost.dask import DaskXGBClassifier
from xgboost import dask as dxgb
```
In future releases, we might stop using the default import and remove the lazy loader.
* Handle the new `device` parameter in dask and demos.
- Check no ordinal is specified in the dask interface.
- Update demos.
- Update dask doc.
- Update the condition for QDM.
